Achieving shrinkage in a time-varying parameter model framework
Angela Bitto, Sylvia Frühwirth-Schnatter
| Year of publication: |
2019
|
|---|---|
| Authors: | Bitto, Angela ; Frühwirth-Schnatter, Sylvia |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 210.2019, 1, p. 75-97
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| Subject: | Bayesian inference | Bayesian Lasso | Double gamma prior | Hierarchical priors | Kalman filter | Log predictive density scores | Normal–gamma prior | Sparsity | State space model | Bayes-Statistik | Zustandsraummodell | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2018.11.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012303379